A TRUST REGION ALGORITHM FOR NASH EQUILIBRIUM PROBLEMS

	A TRUST REGION ALGORITHM FOR NASH EQUILIBRIUM PROBLEMS
	Yuan, Ya-xiang
	2011
发表期刊	PACIFIC JOURNAL OF OPTIMIZATION
ISSN	1348-9151
卷号	7 期号:1 页码:125-138
摘要	The Nash equilibrium problem is fundamental in economics and it is also a very special optimization problem. In this paper, we consider the application of trust region methods to Nash equilibrium problems. We propose a Jacobi-type trust region method for their solutions. The method includes different trust regions for each player, and the trial step is computed and accepted (or rejected) based on each individual utility function. An overall merit function is used and a non-standard technique is suggested to update the trust region bounds. Under certain conditions, we prove the global convergence and local superlinear convergence of the method.
关键词	Nash equilibrium trust region convergence
语种	英语
WOS研究方向	Operations Research & Management Science ; Mathematics
WOS类目	Operations Research & Management Science ; Mathematics, Applied
WOS记录号	WOS:000288184500010
出版者	YOKOHAMA PUBL
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/11889
专题	计算数学与科学工程计算研究所
通讯作者	Yuan, Ya-xiang
作者单位	Chinese Acad Sci, Inst Computat Math & Sci Engn Comp, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Yuan, Ya-xiang. A TRUST REGION ALGORITHM FOR NASH EQUILIBRIUM PROBLEMS[J]. PACIFIC JOURNAL OF OPTIMIZATION,2011,7(1):125-138.
APA	Yuan, Ya-xiang.(2011).A TRUST REGION ALGORITHM FOR NASH EQUILIBRIUM PROBLEMS.PACIFIC JOURNAL OF OPTIMIZATION,7(1),125-138.
MLA	Yuan, Ya-xiang."A TRUST REGION ALGORITHM FOR NASH EQUILIBRIUM PROBLEMS".PACIFIC JOURNAL OF OPTIMIZATION 7.1(2011):125-138.